I think Nucky will be the one taking Rosetti out (though not necessarily personally, although I could see that happening, too).
The thesis of Nucky dreaming his relationship with Billie is interesting but didn't he mention her or at least her house to Rothstein (who's her landlord) in an earlier episode? I think Rothstein remarked that she lived there. There is a weird vibe to the relationship now which is why I thought it was a trap laid by Rothstein. I'm curious where it will lead.